Search Results
JEL Code: C63

693,263 Total downloads

Viewing: 151 - 200 of 3,200 papers

151.

Corporate Bond Portfolio Optimization with Transaction Costs

Number of pages: 20 Posted: 15 Mar 2006
Working Paper Series
Stanford University and Stanford University - Department of Management Science & Engineering
Downloads 913
152.

Mean-Field Game Strategies for Optimal Execution

Applied Mathematical Finance
Number of pages: 30 Posted: 16 Mar 2015 Last Revised: 09 Apr 2019
Accepted Paper Series
university of Toronto, University of Toronto - Department of Statistics and Bank of Montreal
Downloads 909
153.

System Dynamics and Strategy

System Dynamics Review, Vol. 24, No. 4, pp. 407-429, 2008
Number of pages: 33 Posted: 17 Sep 2007 Last Revised: 07 May 2009
Accepted Paper Series
UNSW Business School, Southampton Business School, affiliation not provided to SSRN and Duke University
Downloads 908
154.

Why the Rotation Count Algorithm Works

Tinbergen Institute Discussion Paper No. 2006-065/2
Number of pages: 33 Posted: 03 Aug 2006
Working Paper Series
Cardano Risk Management and
Downloads 908
155.

Tweaking Implied Volatility

Number of pages: 9 Posted: 02 Sep 2004
Working Paper Series
Deakin University - School of Accounting, Economics & Finance and Mississippi State University - College of Business
Downloads 897
156.

Law as a Seamless Web? Comparison of Various Network Representations of the United States Supreme Court Corpus (1791-2005)

Proceedings of the 12th International Conference on Artificial Intelligence and Law (ICAIL 2009)
Number of pages: 7 Posted: 16 Jun 2009 Last Revised: 03 Jun 2010
Working Paper Series
Bommarito Consulting, LLC, Illinois Tech - Chicago Kent College of Law and University of Michigan at Ann Arbor - Center for Study of Complex Systems
Downloads 895
157.

A General Closed Form Option Pricing Formula

Review of Derivatives Research, 22 (1), 1-40, (2019) , Swiss Finance Institute Research Paper No. 15-53
Number of pages: 41 Posted: 02 Feb 2013 Last Revised: 04 Jan 2020
Working Paper Series
University of Zurich - Department of Banking and Finance, Institute of Banking and Finance, University of Zürich and University of Zurich - Department of Banking and Finance
Downloads 890
158.

Rewarding Value-Creating Ideas in Organizations: The Power of Low-Powered Incentives

Forthcoming, The Strategic Management Journal
Number of pages: 38 Posted: 25 Apr 2011 Last Revised: 02 Jul 2014
Working Paper Series
University of Southern Denmark - Strategic Organization Design Unit (SOD) and Frankfurt School of Finance & Management
Downloads 886
159.

A Rule of Thumb for the Optimal Number of Runs in Monte Carlo Simulations

Number of pages: 15 Posted: 06 Mar 2009
Working Paper Series
affiliation not provided to SSRN
Downloads 877
160.

Local Volatility of Volatility for the VIX Market

Review of Derivatives Research, 16(3), 267-293, (2013)
Number of pages: 27 Posted: 11 Dec 2011 Last Revised: 09 Oct 2013
Accepted Paper Series
Institute of Banking and Finance, University of Zürich and University of Zurich - Department of Banking and Finance
Downloads 877
161.

Comments on Handling Objects in Spreadsheets

Number of pages: 18 Posted: 16 Oct 2008
Working Paper Series
Ludwig Maximilian University of Munich (LMU) - Faculty of Mathematics
Downloads 876
162.

Swaptions in Libor Market Model with Local Volatility

Number of pages: 16 Posted: 28 Feb 2008 Last Revised: 21 Jan 2009
Working Paper Series
muRisQ Advisory

Multiple version iconThere are 2 versions of this paper

Downloads 874
163.

Asymmetry between Uptrend and Downtrend Identification: A Tale of Moving Average Trading Strategy

Number of pages: 15 Posted: 24 Jan 2017
Working Paper Series
affiliation not provided to SSRN
Downloads 872
164.

Analytical Credit VAR with Stochastic Probabilities of Default and Recoveries

Bloomberg Portfolio Research Paper No. 2009-05-FRONTIERS
Number of pages: 32 Posted: 02 Jun 2009 Last Revised: 28 Aug 2009
Working Paper Series
Iason Ltd., Bloomberg L.P. and IntesaSanpaolo Group
Downloads 870
165.

Forecasting Implied Volatility Surfaces

University of St. Gallen, Department of Economics, Discussion Paper No. 2007-42
Number of pages: 40 Posted: 25 Nov 2007 Last Revised: 14 Oct 2013
Working Paper Series
University of St. Gallen and University of Lugano
Downloads 868
166.

Deep Hedging: Learning to Simulate Equity Option Markets

Number of pages: 13 Posted: 14 Nov 2019
Working Paper Series
University of Kaiserslautern - Department of Mathematics, JP Morgan, JP Morgan Chase and JP Morgan
Downloads 856
167.

Machine Learning at Central Banks

Bank of England Working Paper No. 674
Number of pages: 89 Posted: 06 Sep 2017
Working Paper Series
Bank of England and Bank of England
Downloads 850
168.

CMS Spread Options and Similar Options in Multi-Factor HJM Framework

Number of pages: 16 Posted: 14 May 2010
Working Paper Series
BNP Paribas Fortis and muRisQ Advisory
Downloads 824
169.

Generic Computing Alternatives for Better Greeks

Number of pages: 28 Posted: 03 Sep 2011 Last Revised: 12 Sep 2011
Working Paper Series
Independent
Downloads 824
170.

Very Fast and Correctly Sized Estimation of the Bds Statistic

Number of pages: 95 Posted: 20 Mar 1999
Working Paper Series
affiliation not provided to SSRN
Downloads 821
171.

Approximating Equilibria with Ex-Post Heterogeneity and Aggregate Risk

Swiss Finance Institute Research Paper No. 17-63
Number of pages: 45 Posted: 21 Jun 2015 Last Revised: 13 Feb 2019
Working Paper Series
University of Amsterdam - Amsterdam School of Economics (ASE)
Downloads 810
172.

Hedged Monte-Carlo: Low Variance Derivative Pricing with Objective Probabilities

Number of pages: 11 Posted: 12 Sep 2000
Working Paper Series
Capital Fund Management, Capital Fund Management and Multifactor Analytics and Consulting
Downloads 805
173.

Fórmula Para Matriz de Correlación y de Covarianza en Excel (Formula for Correlation and Covariance Matrix in Excel)

Number of pages: 12 Posted: 15 Oct 2012
Working Paper Series
Universidad Tecnológica de Bolívar
Downloads 802
174.

Numerical Transform Inversion Using Gaussian Quadrature

Probability in the Engineering and Informational Sciences, Vol. 20, pp. 1-44, 2006
Number of pages: 44 Posted: 18 Sep 2007
Accepted Paper Series
Cardano Risk Management
Downloads 800
175.

Data Mining for Overreaction in Financial Markets

PROCEEDINGS OF THE IASTED INTERNATIONAL CONFERENCE ON SOFTWARE ENGINEERING AND APPLICATIONS (SEA), Phoenix, AZ, November 14-16, 2005, W.-T. Tsai and M.H. Hamza, eds., Vol. 467, pp. 28-35, ACTA Press, 2005
Number of pages: 8 Posted: 01 Jun 2009 Last Revised: 05 Jun 2009
Accepted Paper Series
Istanbul Technical University, Department of Mathematical Engineering and University of Pittsburgh - Department of Mathematics
Downloads 796
176.

Efficient Control Variates for Monte-Carlo Valuation of American Options

Number of pages: 46 Posted: 10 Oct 2002
Working Paper Series
Aarhus University - Department of Finance
Downloads 795
177.

Heuristic Optimisation in Financial Modelling

Annals of Operations Research, Vol. 193, No. 1, pp. 129-158, 2012
Number of pages: 31 Posted: 02 Oct 2008 Last Revised: 14 Mar 2013
Accepted Paper Series
University of Geneva - Research Center for Statistics and Independent
Downloads 789
178.

Using Adaptive Sparse Grids to Solve High-Dimensional Dynamic Models

Number of pages: 37 Posted: 04 Nov 2013 Last Revised: 25 May 2017
Working Paper Series
Karlsruhe Institute of Technology and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 782
179.

The Time-Dependent FX-SABR Model: Efficient Calibration Based on Effective Parameters

International Journal of Theoretical and Applied Finance, Vol. 18, No. 6 (2015)
Number of pages: 30 Posted: 04 Oct 2014 Last Revised: 28 Sep 2015
Accepted Paper Series
Rabobank, Delft University of Technology and Center for Mathematics and Computer Science (CWI)
Downloads 776
180.

CMS Swaps and Caps in One-Factor Gaussian Models

Number of pages: 9 Posted: 14 May 2007 Last Revised: 12 Feb 2008
Working Paper Series
muRisQ Advisory
Downloads 775
181.

Q-Learning and SARSA: A Comparison between Two Intelligent Stochastic Control Approaches for Financial Trading

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. No. 15/WP/2015
Number of pages: 25 Posted: 17 Jun 2015
Working Paper Series
Ca Foscari University of Venice - Dipartimento di Economia and Independent
Downloads 775
182.

Pricing Exotic Barrier Options with Finite Differences

Number of pages: 29 Posted: 30 May 2007
Working Paper Series
Morgan Stanley and Rodel Tech Financial
Downloads 767
183.

Simulation in the Textile Industry: Production Planning Optimization

WOA 2004: Dagli Oggetti agli Agenti. 5th AI*IA/TABOO Joint Workshop
Number of pages: 7 Posted: 03 Jan 2005
Accepted Paper Series
University of Turin and Ecole Normale Supérieure (ENS) de Lyon
Downloads 766
184.

The Economics of the Internet Backbone

NYU, Law and Economics Research Paper No. 04-033; and NET Institute Working Paper No. 04-23
Number of pages: 58 Posted: 08 Dec 2004
Working Paper Series
New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 765
185.

Options on Realized Variance by Transform Methods: A Non-Affine Stochastic Volatility Model

Quantitative Finance, 12(11), 1679-1694, (2012)
Number of pages: 30 Posted: 21 Nov 2009 Last Revised: 07 Nov 2012
Accepted Paper Series
Institute of Banking and Finance, University of Zürich
Downloads 762
186.

Representation-Constrained Canonical Correlation Analysis: A Hybridization of Canonical Correlation and Principal Component Analyses

Number of pages: 24 Posted: 12 Feb 2009
Working Paper Series
North-Eastern Hill University (NEHU)
Downloads 762
187.

Volatility vs. Downside Risk: Optimally Protecting Against Drawdowns and Maintaining Portfolio Performance

University Ca' Foscari of Venice, Dept. of Economics Working Paper Series No. 18/WP/2014
Number of pages: 28 Posted: 12 Nov 2014
Working Paper Series
Ca Foscari University of Venice - Dipartimento di Economia, Ca Foscari University of Venice - Dipartimento di Economia and Independent
Downloads 761
188.

GPU Pricing of Exotic Cross-Currency Interest Rate Derivatives with a Foreign Exchange Volatility Skew Model

Number of pages: 16 Posted: 08 Feb 2010 Last Revised: 26 Feb 2011
Working Paper Series
University of Queensland - School of Mathematics and Physics, University of Toronto - Department of Computer Science and University of Toronto - Department of Computer Science
Downloads 757
189.

A New Algorithm for Computing Implied Volatility

East-West Journal of Mathematics, Forthcoming
Number of pages: 13 Posted: 03 Jul 2011 Last Revised: 15 Aug 2012
Accepted Paper Series
Phatra Securities and Mahidol University - Department of Mathematics
Downloads 751
190.

Optimal Asset Allocation Strategies

Number of pages: 25 Posted: 28 Jun 2016 Last Revised: 15 Jul 2016
Working Paper Series
North Carolina State University
Downloads 744
191.

Endogeneity in Corporate Finance Empirical Research (In Portuguese)

Number of pages: 32 Posted: 23 Apr 2010
Working Paper Series
University of Sao Paulo, Universidade de São Paulo, Alvares Penteado School of Business (Fecap) and Mackenzie Presbyterian University
Downloads 743
192.

From Arbitrage to Arbitrage-Free Implied Volatilities

Journal of Computational Finance 20(3), 1-19, 2016
Number of pages: 12 Posted: 24 Nov 2014 Last Revised: 05 Jul 2016
Accepted Paper Series
Delft University of Technology and Center for Mathematics and Computer Science (CWI)

Multiple version iconThere are 2 versions of this paper

Downloads 743
193.
Downloads 743
194.

Machine Learning for High-Dimensional Dynamic Stochastic Economies

Number of pages: 38 Posted: 06 Mar 2017 Last Revised: 10 Aug 2017
Working Paper Series
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and Purdue University
Downloads 739
195.

Sequential Estimation of Dynamic Discrete Games

Econometrica, Vol. 75, No. 1
Number of pages: 52 Posted: 20 Jun 2004 Last Revised: 30 Oct 2016
Accepted Paper Series
University of Toronto - Department of Economics and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 737
196.

Locked Up by a Lockup: Valuing Liquidity as a Real Option

Number of pages: 49 Posted: 30 Oct 2008 Last Revised: 17 Nov 2012
Working Paper Series
BlackRock, Inc and Vanderbilt University - Finance

Multiple version iconThere are 4 versions of this paper

Downloads 728
197.

The Hub-and-Spoke Model - A Tutorial

Number of pages: 23 Posted: 20 Dec 2006 Last Revised: 27 Feb 2012
Working Paper Series
IC2 Institute, The University of Texas at Austin and affiliation not provided to SSRN
Downloads 727
198.

An Efficient Numerical PDE Approach for Pricing Foreign Exchange Interest Rate Hybrid Derivatives

Number of pages: 38 Posted: 26 Mar 2012 Last Revised: 05 May 2013
Working Paper Series
University of Queensland - School of Mathematics and Physics, University of Toronto - Department of Computer Science, University of Toronto - Department of Computer Science and Algorithmics Inc.
Downloads 723
199.

Applications of Neural Network Radial Basis Function in Economics and Financial Time Series

Number of pages: 20 Posted: 28 Aug 2010
Working Paper Series
Aydin Adnan Menderes University, Nazilli Faculty of Economics and Administrative Sciences
Downloads 723
200.

Computational Social Science

WILEY Interdisciplinary Reviews: Computational Statistics, Vol. 2, No. 3, pp. 259-271, May/June 2010
Number of pages: 13 Posted: 14 Nov 2010
Working Paper Series
George Mason University - Center for Social Complexity
Downloads 723